Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +39.4% Cumul. Return since Sep 23, 2025 Hypothetical

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Seleukos Energy Futures
(18843731)

Created by: SeleukosSrlFinance SeleukosSrlFinance
Started: 03/2006
Forex
Last trade: 5,842 days ago
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $10.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

0.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(34.3%)
Max Drawdown
998
Num Trades
31.3%
Win Trades
1.1 : 1
Profit Factor
8.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006              +14.7%+18.5%(14.5%)(11.4%)(7.4%)+1.0%+2.8%  -    -    -  (1%)
2007  -  +1.6%(2.1%)(0.5%)(3.1%)+0.3%+4.8%+8.3%(1.1%)+16.0%(3.9%)(4%)+15.4%
2008(0.9%)(1.6%)(0.3%)  -  (2.5%)(0.5%)(0.9%)(0.1%)(0.5%)+0.3%+0.2%+1.7%(4.9%)
2009+1.4%(1.7%)(0.9%)(3.8%)+5.7%(1.2%)(4.7%)(1%)(0.9%)(0.8%)(1.4%)+3.9%(5.7%)
2010+1.6%(1%)+3.5%(2%)(0.7%)(0.2%)+0.1%+0.2%  -    -    -    -  +1.4%
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -  (0.2%)  -    -    -    -    -    -    -    -    -    -  (0.1%)
2015+0.1%  -    -    -    -    -    -    -    -    -    -  (0.1%)+0.1%
2016  -    -    -    -    -  (0.1%)  -    -    -    -    -    -  (0.2%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/10/10 3:15 USD/CHF USD/CHF SHORT 50 1.14548 6/11 3:15 1.14098 0.1%
Trade id #50161274
Max drawdown($113)
Time6/10/10 3:25
Quant open-5
Worst price1.14808
Drawdown as % of equity-0.10%
 $282.49
6/7/10 3:15 GBP/USD GBP/USD SHORT 50 1.43926 6/7 6:11 1.44700 0.38%
Trade id #50039918
Max drawdown($432)
Time6/7/10 6:11
Quant open-5
Worst price1.44790
Drawdown as % of equity-0.38%
 ($387.00)
6/4/10 3:15 GBP/CHF GBP/CHF LONG 50 1.68821 6/4 7:00 1.68240 n/a ($364.72)
5/27/10 3:15 GBP/CHF GBP/CHF LONG 50 1.67351 6/3 3:20 1.69440 0.18%
Trade id #49752499
Max drawdown($202)
Time5/28/10 12:08
Quant open5
Worst price1.66885
Drawdown as % of equity-0.18%
 $1,311.36
5/25/10 3:22 GBP/USD GBP/USD SHORT 50 1.43145 5/26 3:15 1.43542 0.36%
Trade id #49667703
Max drawdown($399)
Time5/26/10 0:19
Quant open-5
Worst price1.43944
Drawdown as % of equity-0.36%
 ($198.50)
5/24/10 3:15 GBP/CHF GBP/CHF LONG 50 1.67449 5/25 3:15 1.66349 0.42%
Trade id #49619650
Max drawdown($473)
Time5/24/10 23:59
Quant open5
Worst price1.66505
Drawdown as % of equity-0.42%
 ($690.52)
5/24/10 3:15 EUR/CHF EUR/CHF LONG 50 1.44279 5/24 20:51 1.42950 0.51%
Trade id #49619633
Max drawdown($572)
Time5/24/10 11:14
Quant open5
Worst price1.43131
Drawdown as % of equity-0.51%
 ($834.27)
5/17/10 3:15 GBP/USD GBP/USD SHORT 50 1.44259 5/18 2:40 1.44659 0.37%
Trade id #49387355
Max drawdown($420)
Time5/17/10 9:40
Quant open-5
Worst price1.45099
Drawdown as % of equity-0.37%
 ($200.00)
5/4/10 3:15 GBP/CHF GBP/CHF LONG 50 1.65691 5/6 11:36 1.65300 0.16%
Trade id #48995114
Max drawdown($179)
Time5/6/10 11:36
Quant open5
Worst price1.65292
Drawdown as % of equity-0.16%
 ($245.45)
5/4/10 3:15 GBP/USD GBP/USD SHORT 50 1.52261 5/6 3:15 1.50345 n/a $958.00
4/30/10 3:15 USD/JPY USD/JPY LONG 50 94.138 5/5 14:12 93.922 0.14%
Trade id #48911627
Max drawdown($161)
Time5/2/10 22:12
Quant open5
Worst price93.846
Drawdown as % of equity-0.14%
 ($0.67)
4/30/10 3:15 EUR/USD EUR/USD LONG 50 1.33031 5/3 3:15 1.32152 0.43%
Trade id #48911643
Max drawdown($486)
Time5/3/10 0:21
Quant open5
Worst price1.32057
Drawdown as % of equity-0.43%
 ($439.50)
4/29/10 3:15 GBP/CHF GBP/CHF LONG 50 1.64778 4/30 9:45 1.64400 0.15%
Trade id #48871477
Max drawdown($176)
Time4/30/10 9:39
Quant open5
Worst price1.64459
Drawdown as % of equity-0.15%
 ($237.29)
4/30/10 3:16 GBP/USD GBP/USD LONG 50 1.53700 4/30 6:37 1.53190 n/a ($255.00)
4/29/10 3:15 GBP/USD GBP/USD SHORT 50 1.51694 4/29 3:55 1.52280 n/a ($293.00)
4/21/10 3:15 GBP/CHF GBP/CHF LONG 50 1.64163 4/28 3:15 1.65206 n/a $654.74
4/26/10 3:15 EUR/CHF EUR/CHF LONG 50 1.43573 4/27 3:15 1.43512 0.09%
Trade id #48749889
Max drawdown($108)
Time4/26/10 10:34
Quant open5
Worst price1.43341
Drawdown as % of equity-0.09%
 ($38.29)
4/26/10 3:15 USD/JPY USD/JPY LONG 50 94.188 4/27 3:15 93.773 0.21%
Trade id #48749882
Max drawdown($236)
Time4/26/10 22:19
Quant open5
Worst price93.744
Drawdown as % of equity-0.21%
 ($1.30)
4/23/10 3:15 GBP/USD GBP/USD SHORT 50 1.53670 4/26 1:20 1.54490 0.36%
Trade id #48694530
Max drawdown($410)
Time4/25/10 21:53
Quant open-5
Worst price1.54427
Drawdown as % of equity-0.36%
 ($410.00)
4/23/10 3:15 EUR/USD EUR/USD SHORT 50 1.32450 4/23 10:43 1.33510 0.46%
Trade id #48694524
Max drawdown($530)
Time4/23/10 10:39
Quant open-5
Worst price1.33468
Drawdown as % of equity-0.46%
 ($530.00)
4/22/10 3:15 EUR/CHF EUR/CHF SHORT 50 1.43241 4/23 3:15 1.43279 0.06%
Trade id #48645433
Max drawdown($68)
Time4/22/10 10:58
Quant open-5
Worst price1.43389
Drawdown as % of equity-0.06%
 ($23.85)
4/21/10 3:15 GBP/USD GBP/USD LONG 50 1.53746 4/22 3:17 1.54540 n/a $397.00
4/21/10 3:16 EUR/CHF EUR/CHF LONG 50 1.43443 4/21 10:51 1.43090 0.14%
Trade id #48607478
Max drawdown($165)
Time4/21/10 10:43
Quant open5
Worst price1.43264
Drawdown as % of equity-0.14%
 ($221.59)
4/21/10 3:15 USD/JPY USD/JPY LONG 50 93.292 4/21 7:13 92.955 n/a ($1.05)
4/16/10 3:15 USD/JPY USD/JPY SHORT 50 92.654 4/20 6:44 92.903 0.12%
Trade id #48473052
Max drawdown($135)
Time4/16/10 9:55
Quant open-5
Worst price92.727
Drawdown as % of equity-0.12%
 ($0.78)
4/19/10 3:15 USD/CHF USD/CHF LONG 50 1.06559 4/20 3:15 1.06451 0.11%
Trade id #48521032
Max drawdown($124)
Time4/20/10 0:37
Quant open5
Worst price1.06291
Drawdown as % of equity-0.11%
 ($67.80)
4/19/10 3:15 EUR/CHF EUR/CHF SHORT 50 1.43277 4/20 3:15 1.43468 0.08%
Trade id #48521007
Max drawdown($90)
Time4/19/10 10:04
Quant open-5
Worst price1.43470
Drawdown as % of equity-0.08%
 ($119.90)
4/19/10 3:15 EUR/USD EUR/USD SHORT 50 1.34476 4/19 17:23 1.34920 0.19%
Trade id #48521058
Max drawdown($222)
Time4/19/10 10:21
Quant open-5
Worst price1.34737
Drawdown as % of equity-0.19%
 ($222.00)
4/15/10 3:15 USD/CHF USD/CHF LONG 50 1.05551 4/16 3:15 1.05923 n/a $233.52
4/15/10 3:15 EUR/USD EUR/USD LONG 50 1.36119 4/15 5:13 1.35550 n/a ($284.50)

Statistics

  • Strategy began
    3/5/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    7398.18
  • Age
    247 months ago
  • What it trades
    Futures, Forex
  • # Trades
    998
  • # Profitable
    312
  • % Profitable
    31.30%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    34.27%
  • drawdown period
    April 27, 2006 - Aug 14, 2006
  • Annual Return (Compounded)
    0.2%
  • Avg win
    $782.22
  • Avg loss
    $338.13
  • Model Account Values (Raw)
  • Cash
    $112,127
  • Margin Used
    $0
  • Buying Power
    $112,127
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    -0.22
  • Sortino Ratio
    -0.33
  • Calmar Ratio
    0.042
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -469.87%
  • Correlation to SP500
    -0.00990
  • Return Percent SP500 (cumu) during strategy life
    475.32%
  • Return Statistics
  • Ann Return (w trading costs)
    0.2%
  • Slump
  • Current Slump as Pcnt Equity
    31.30%
  • Instruments
  • Percent Trades Futures
    0.26%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.002%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.74%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $338
  • Avg Win
    $782
  • Sum Trade PL (losers)
    $231,955.000
  • Age
  • Num Months filled monthly returns table
    244
  • Win / Loss
  • Sum Trade PL (winners)
    $244,053.000
  • # Winners
    312
  • Num Months Winners
    37
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    686
  • % Winners
    31.3%
  • Frequency
  • Avg Position Time (mins)
    2327.63
  • Avg Position Time (hrs)
    38.79
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    5839
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.00
  • Treynor Index
    1.30
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.34
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.82
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -46.683
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.293
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.208
  • Hold-and-Hope Ratio
    -0.021
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02440
  • SD
    0.14409
  • Sharpe ratio (Glass type estimate)
    0.16931
  • Sharpe ratio (Hedges UMVUE)
    0.16778
  • df
    83.00000
  • t
    0.44795
  • p
    0.32768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91005
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90901
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24789
  • Upside Potential Ratio
    1.24601
  • Upside part of mean
    0.12262
  • Downside part of mean
    -0.09823
  • Upside SD
    0.10430
  • Downside SD
    0.09841
  • N nonnegative terms
    52.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    0.16647
  • Mean of criterion
    0.02440
  • SD of predictor
    0.19634
  • SD of criterion
    0.14409
  • Covariance
    0.00062
  • r
    0.02205
  • b (slope, estimate of beta)
    0.01618
  • a (intercept, estimate of alpha)
    0.02170
  • Mean Square Error
    0.02100
  • DF error
    82.00000
  • t(b)
    0.19973
  • p(b)
    0.42109
  • t(a)
    0.38468
  • p(a)
    0.35074
  • Lowerbound of 95% confidence interval for beta
    -0.14500
  • Upperbound of 95% confidence interval for beta
    0.17737
  • Lowerbound of 95% confidence interval for alpha
    -0.09052
  • Upperbound of 95% confidence interval for alpha
    0.13393
  • Treynor index (mean / b)
    1.50749
  • Jensen alpha (a)
    0.02170
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01384
  • SD
    0.14738
  • Sharpe ratio (Glass type estimate)
    0.09393
  • Sharpe ratio (Hedges UMVUE)
    0.09308
  • df
    83.00000
  • t
    0.24852
  • p
    0.40217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64728
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64785
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83401
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12761
  • Upside Potential Ratio
    1.08382
  • Upside part of mean
    0.11758
  • Downside part of mean
    -0.10374
  • Upside SD
    0.09853
  • Downside SD
    0.10849
  • N nonnegative terms
    52.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    0.14574
  • Mean of criterion
    0.01384
  • SD of predictor
    0.20219
  • SD of criterion
    0.14738
  • Covariance
    0.00101
  • r
    0.03403
  • b (slope, estimate of beta)
    0.02481
  • a (intercept, estimate of alpha)
    0.01023
  • Mean Square Error
    0.02196
  • DF error
    82.00000
  • t(b)
    0.30837
  • p(b)
    0.37929
  • t(a)
    0.17874
  • p(a)
    0.42929
  • Lowerbound of 95% confidence interval for beta
    -0.13523
  • Upperbound of 95% confidence interval for beta
    0.18485
  • Lowerbound of 95% confidence interval for alpha
    -0.10361
  • Upperbound of 95% confidence interval for alpha
    0.12406
  • Treynor index (mean / b)
    0.55804
  • Jensen alpha (a)
    0.01023
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06651
  • Expected Shortfall on VaR
    0.08285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01490
  • Expected Shortfall on VaR
    0.03551
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    84.00000
  • Minimum
    0.78122
  • Quartile 1
    0.99704
  • Median
    1.00000
  • Quartile 3
    1.00212
  • Maximum
    1.17297
  • Mean of quarter 1
    0.96789
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.04056
  • Inter Quartile Range
    0.00508
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.15476
  • Mean of outliers low
    0.95251
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.19048
  • Mean of outliers high
    1.05161
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44980
  • VaR(95%) (moments method)
    0.01639
  • Expected Shortfall (moments method)
    0.03775
  • Extreme Value Index (regression method)
    0.59673
  • VaR(95%) (regression method)
    0.02614
  • Expected Shortfall (regression method)
    0.08134
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.19030
  • Quartile 1
    0.20020
  • Median
    0.21010
  • Quartile 3
    0.21999
  • Maximum
    0.22989
  • Mean of quarter 1
    0.19030
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22989
  • Inter Quartile Range
    0.01980
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01454
  • Compounded annual return (geometric extrapolation)
    0.01394
  • Calmar ratio (compounded annual return / max draw down)
    0.06064
  • Compounded annual return / average of 25% largest draw downs
    0.06064
  • Compounded annual return / Expected Shortfall lognormal
    0.16827
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02773
  • SD
    0.16775
  • Sharpe ratio (Glass type estimate)
    0.16528
  • Sharpe ratio (Hedges UMVUE)
    0.16521
  • df
    1853.00000
  • t
    0.43967
  • p
    0.49350
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57153
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90202
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24423
  • Upside Potential Ratio
    4.84563
  • Upside part of mean
    0.55012
  • Downside part of mean
    -0.52239
  • Upside SD
    0.12345
  • Downside SD
    0.11353
  • N nonnegative terms
    1257.00000
  • N negative terms
    597.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1854.00000
  • Mean of predictor
    0.29795
  • Mean of criterion
    0.02773
  • SD of predictor
    0.56118
  • SD of criterion
    0.16775
  • Covariance
    0.01831
  • r
    0.19453
  • b (slope, estimate of beta)
    0.05815
  • a (intercept, estimate of alpha)
    0.01000
  • Mean Square Error
    0.02709
  • DF error
    1852.00000
  • t(b)
    8.53475
  • p(b)
    0.40273
  • t(a)
    0.16800
  • p(a)
    0.49805
  • Lowerbound of 95% confidence interval for beta
    0.04479
  • Upperbound of 95% confidence interval for beta
    0.07152
  • Lowerbound of 95% confidence interval for alpha
    -0.11102
  • Upperbound of 95% confidence interval for alpha
    0.13182
  • Treynor index (mean / b)
    0.47679
  • Jensen alpha (a)
    0.01040
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01369
  • SD
    0.16750
  • Sharpe ratio (Glass type estimate)
    0.08176
  • Sharpe ratio (Hedges UMVUE)
    0.08172
  • df
    1853.00000
  • t
    0.21749
  • p
    0.49678
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.81855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65507
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81852
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11818
  • Upside Potential Ratio
    4.68329
  • Upside part of mean
    0.54271
  • Downside part of mean
    -0.52901
  • Upside SD
    0.12089
  • Downside SD
    0.11588
  • N nonnegative terms
    1257.00000
  • N negative terms
    597.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1854.00000
  • Mean of predictor
    0.14239
  • Mean of criterion
    0.01369
  • SD of predictor
    0.55835
  • SD of criterion
    0.16750
  • Covariance
    0.01834
  • r
    0.19606
  • b (slope, estimate of beta)
    0.05882
  • a (intercept, estimate of alpha)
    0.00532
  • Mean Square Error
    0.02699
  • DF error
    1852.00000
  • t(b)
    8.60435
  • p(b)
    0.40197
  • t(a)
    0.08612
  • p(a)
    0.49900
  • Lowerbound of 95% confidence interval for beta
    0.04541
  • Upperbound of 95% confidence interval for beta
    0.07222
  • Lowerbound of 95% confidence interval for alpha
    -0.11582
  • Upperbound of 95% confidence interval for alpha
    0.12646
  • Treynor index (mean / b)
    0.23284
  • Jensen alpha (a)
    0.00532
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01683
  • Expected Shortfall on VaR
    0.02106
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00318
  • Expected Shortfall on VaR
    0.00784
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1854.00000
  • Minimum
    0.92457
  • Quartile 1
    0.99977
  • Median
    1.00000
  • Quartile 3
    1.00007
  • Maximum
    1.07910
  • Mean of quarter 1
    0.99206
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00838
  • Inter Quartile Range
    0.00030
  • Number outliers low
    392.00000
  • Percentage of outliers low
    0.21144
  • Mean of outliers low
    0.99067
  • Number of outliers high
    348.00000
  • Percentage of outliers high
    0.18770
  • Mean of outliers high
    1.01112
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86715
  • VaR(95%) (moments method)
    0.00542
  • Expected Shortfall (moments method)
    0.04724
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00554
  • Median
    0.02667
  • Quartile 3
    0.04458
  • Maximum
    0.32923
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.01261
  • Mean of quarter 3
    0.03703
  • Mean of quarter 4
    0.19491
  • Inter Quartile Range
    0.03904
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.32923
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01438
  • Compounded annual return (geometric extrapolation)
    0.01379
  • Calmar ratio (compounded annual return / max draw down)
    0.04188
  • Compounded annual return / average of 25% largest draw downs
    0.07074
  • Compounded annual return / Expected Shortfall lognormal
    0.65471
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92574
  • Mean of criterion
    0.00000
  • SD of predictor
    0.57207
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.75705
  • Mean of criterion
    0.00000
  • SD of predictor
    0.58625
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369752000
  • Max Equity Drawdown (num days)
    109
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description






Currently trading NYMEX Crude Oil (CL), Natural Gas (NG), Heating Oil (HO), Unleaded Gasoline (HU). The engine of the system is particular. The forecasts (and tradings) for every day are based on the exploration of the preceeding 55 days, no other elements are evaluated. The system is working from 1996. It is clear that a system executing a backtest every three months, after a year has four experiences only and we can evaluate and decide using these four experiences, that can be misleading. A system as this one, used here, after a year has 250 experiences about, so it is enormously more reliable (but obviously not guaranteed). Energies on our computers are at work from september 2000 about. So the past results have, on respect of normal systems, good probabilities to be repeated. Using four instruments can be obviously a good diversification to normalize gains.
Money management:
The system controls at every midnight the situation FROM THE OPENING OF EACH OPERATION. If a certain loss or a certain profit are reached, tomorrow morning you will have to close on opening price.For evering question, we are very happy to reply.

Because of the strong movements, we should keep stop losses very tight: this will result in many operations loosing 0.4% about. So prepare yourself to this. The alternative is to put stop losses at a 10% level. Also following this latter strategy, gains are very poors.
Track records from January 1,2003 for the four instruments together (without any leverage, covering 100% of the facial amount) are the following:

r2 0.98545 (exceptional) called also good or fitness or linearity, probably more important than the Sharpe ratio. The value 0.98545 means that the equity line is in practice a stright line.
Maximum draw down -5.381% daily computed
Yearly return 41.14%

Facing a possible 15% draw down, you could use a 3 leverage, where gains could be very high.
Ask for a brochure of the track records at [email protected], including the sentence COLLECTIVE2: ENERGY SYSTEM in the object.

WARNING: THE SYSTEMS CAN STAY FLAT IN SOME INSTRUMENT FOR MANY DAYS. THIS IS DUE TO THE FACT THAT WHEN VOLATILITY IS TOO HIGH OR TOO LOW THERE ARE DANGERS. WHEN VOLATILITY IS TOO HIGH WE SHOULD INTRODUCE STOP LOSSES TOO MUCH LARGE. WHEN VOLATILITY IS TOO LOW THE SYSTEM IS NOT ABLE TO DIAGNOSTIC WELL THE NEXT MOVEMENT

Good trading.




Trade this strategy at Tradier

Summary Statistics

Strategy began
2006-03-05
Suggested Minimum Capital
$100,000
# Trades
998
# Profitable
312
% Profitable
31.3%
Correlation S&P500
-0.010
Sharpe Ratio
-0.22
Sortino Ratio
-0.33
Beta
-0.00
Alpha
-0.00

Latest Activity

subscribed on started simulation

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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